the only time I really enjoy loud music in a venue like that I am going there specifically for the music.
Yes, if you are paying for a concert then blast it man! I will say this though after going to a concert and it was so loud that my neck hurt afterwards that I will still bring ear plugs the next time I go to a concert... which isn't often an option because nobody tours to Vietnam.
The loudest concert I have ever been to was KISS at a small arena near where I live. My ears were ringing for days after that one!